Goldman Sachs to price 0% notes linked to eight currencies versus the euro

By Angela McDaniels

Tacoma, Wash., June 9 - Goldman Sachs Group, Inc. plans to price 0% notes due 24 to 26 months after issue linked to the performance of a basket of currencies relative to the euro, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes equal weights of the Brazilian real, Russian ruble, Indian rupee, Malaysian ringgit, Singapore dollar, Mexican peso, Australian dollar and Norwegian krone.

If the basket appreciates relative to the euro by less than the threshold return - 2% to 2.5%, with the exact amount to be set at pricing - the payout at maturity will be par.

If the basket appreciates by at least the threshold return but the product of the basket gain multiplied by the participation rate - expected to be 150% - is less than the step-up percentage, the payout will be par plus the step-up percentage, which is expected to be 13% to 15%.

If the product of the basket appreciation multiplied by the participation rate is greater than or equal to the step-up percentage, the payout will be par plus the basket appreciation multiplied by the participation rate.

Goldman, Sachs & Co. will be the underwriter.

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